public void TodaysPnlResetsEvenWhenTrackerIsNotOpen()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
trade.Orders = new List <Order>
{
new Order {
Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date
},
new Order {
Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date
}
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
var data = new Dictionary <int, TimeSeries> {
{ 1, TimeSeriesGenerator.GenerateData(date, date.AddDays(1), 90) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, data, null);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TodaysPnL);
data[1].ProgressTo(date.AddDays(1));
tracker.Update(date.AddDays(1), data, null);
Assert.AreEqual(0, tracker.TodaysPnL);
}
public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForCurrencyPositions()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var fxCurrency = new Currency {
ID = 2, Name = "CAD"
};
trade.FXTransactions = new List <FXTransaction>
{
new FXTransaction {
FXCurrency = fxCurrency, Quantity = 1000, Proceeds = 1500, Cost = -1500
},
new FXTransaction {
FXCurrency = fxCurrency, Quantity = -500, Proceeds = -850, Cost = 850
},
};
var tracker = new TradeTracker(trade, 1);
foreach (FXTransaction fxt in trade.FXTransactions)
{
tracker.AddFXTransaction(fxt);
}
var data = new Dictionary <int, TimeSeries> {
{ 2, TimeSeriesGenerator.GenerateData(date, date, 1.55m) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, new Dictionary <int, TimeSeries>(), data);
Assert.AreEqual(100 + 500 * (1.55m - 1.5m), tracker.TotalPnL);
}
public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForShortPositions()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
trade.Orders = new List <Order>
{
new Order {
Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date
},
new Order {
Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date
}
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
var data = new Dictionary <int, TimeSeries> {
{ 1, TimeSeriesGenerator.GenerateData(date, date, 90) }
};
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(date);
}
tracker.Update(date, data, null);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnL);
Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnlShort);
}
public void CapitalUsageCorrectlyTracked()
{
var inst2 = new Instrument {
ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock
};
var order1 = new Order
{
Instrument = _inst,
InstrumentID = _inst.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 10,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 2)
};
var order2 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 20,
Quantity = -100,
CurrencyID = 1,
BuySell = "SELL",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 12, 0, 0)
};
var order3 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 19,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 13, 0, 0)
};
var trade = new Trade
{
Orders = new List <Order> {
order1, order2, order3
}
};
var trades = new List <Trade> {
trade
};
_data = new Dictionary <int, TimeSeries>
{
{ 1, TimeSeriesGenerator.GenerateData(new DateTime(2000, 1, 1), new DateTime(2000, 2, 1), 11) },
{ 2, TimeSeriesGenerator.GenerateData(new DateTime(2000, 1, 1), new DateTime(2000, 2, 1), 20) }
};
var tracker = new PortfolioTracker(_data, _fxData, trades, "test", new DateTime(2000, 1, 1));
var date = new DateTime(2000, 1, 1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(0, tracker.Capital.Gross.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(10 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(10 * 100, tracker.Capital.Long.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(11 * 100 + 20 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(11 * 100, tracker.Capital.Long.Last());
Assert.AreEqual(20 * 100, tracker.Capital.Short.Last());
}